Maximum likelihood estimation of time-inhomogeneous diffusions.

DOI10.1016/S0304-4076(02)00221-XzbMath1085.62131OpenAlexW3125732291MaRDI QIDQ1871562

Alexei V. Egorov, Yuewu Xu, Hai-Tao Li

Publication date: 4 May 2003

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4076(02)00221-x

zbMATH Keywords

densityMaximum likelihood estimationHermite expansionTransitionTime-inhomogeneous diffusion

Mathematics Subject Classification ID

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